Why some objects are not rendered in the final rendering?
I figured it out. I have to go to the OBJECT MODE -> W -> Clear

Objects can be set to 'Restrict Render' - effectively to exclude them from the render (the camera icon in the Outliner window). The W shortcut brings up a Specials menu with 'Restrict Render Unselected' and 'Clear All Restrict Render' options - the first option sets all objects except those currently selected to be hidden, while the second option sets everything back to render.